Dunye began her career with six short films which have been collected on DVD as The Early Works of Cheryl Dunye.[4][5] Most of these videos featured the use of mixed media, a blurring of fact and fiction and explored issues relating to the director’s experience as a black lesbian filmmaker.

Her feature debut was The Watermelon Woman (1996), a film which explored the history of black women and lesbians in film[6] and "[it] has earned a place in cinematic history as the first feature-length narrative film written and directed by out black lesbian about black lesbians.”[7] In 1993 Dunye was doing research for a class on black film history, by looking for information on black actresses in early films. Many times the credits for these women were left out of the film. Dunye decided that she was going to use her work to create a story for black women in early films. The film’s title is a play on the Melvin Van Peebles’s film The Watermelon Man (1970).[7]

In the film, the protagonist Cheryl, played by the director, is an aspiring black lesbian filmmaker attempting to bring about the history of black lesbians in cinematic history while attempting to produce her own work because “our stories have never been told.”[8] The story explores the difficulty in navigating archival sources that either excludes or ignores black queer women working in Hollywood,[9] particularly that of actress Fae Richards whose character bore the name that provides the title for the film.[7]

Dunye's second feature is the HBO produced television movie Stranger Inside based on the experiences of African-American lesbians in prison.[10] The film had a budget of $2 million and was released in theaters as well as on their network.[11]

The film deals with a young woman and juvenile offender named Treasure (Yolanda Ross), who seeks to build a relationship with her estranged mother by getting transferred to the same prison facility once she becomes an adult.[8][11]

Dunye became interested in exploring motherhood within imprisonment in Stranger Inside by the birth of her daughter and Harriet Jacobs’s Incidents in the Life of a Slave Girl.[8][11][12] Additionally, Dunye was interested in the topic of incarcerated women through Angela Davis’s work and the Critical Resistance’s Creating Change conference at University of California, Berkeley.[11] In a 2004 issue of Feminist Studies, Dunye discussed some of her inspiration and purpose for the film, particularly how these women make prison a home. "In approaching this piece," Dunye says, "I was interested in how connected a lot of these women are to the outside world and how they find that balance to being an inmate, being a mother, being a member of a family or a clan, or a group that got them in--one that they support or have to support. It puts these women in many different spaces at the same time. But one space that they have to call home is this institution: the prison."[13] Dunye did extensive research into women’s prisons and extended this research process to the cast and crew during preproduction, like visiting actual women’s prisons.[11] Dunye conducted a screenwriting workshop modeled after Rhodessa Jones’s Medea Project: Theater for Incarcerated Women during her research.[11] The workshop consisted of Dunye working with 12 incarcerated women from the Shakopee Correctional Facility in Minnesota; this partnership was commissioned through the Walker Art Center during Dunye’s time as the center’s Artist in Residence.[11] Dunye looked to understand the interpersonal relationships in prison and their use as a means of survival.[11] The collaborative project of the script was then performed in live readings by the twelve workshop participants and presented at the prison. By the time of the release of the film, seven of these women were released and were able to attend a screening at the Walker Center.[11] Those that had not yet completed their sentences were able to view the film at the Shakopee Women’s Facility as the film was screened there as well. A live reading performed by professional actors was recorded by the Walker Centre and was showcased at festivals and contributed to the successful funding and production of the film.[11]

Dunye's short film Black Is Blue (2014) screened at over 35 festivals and after great traction and funding from the Tribeca Film Institute, is in the works of becoming a feature length film. The film will has been re-written and expanded upon by both Dunye and Christina Anderson and will be produced by the San Francisco production company 13th Gen.[14]Black is Blue, reminiscent of Sunset Boulevard, is described to be a "Trans-Erotic-Sci-Fi-Thriller" and will take place in a futuristic Oakland.

As of 2010, Dunye is working on a film called Adventures in the 419, also co-written with Schulman, which was selected as one of the works-in-progress films in the Tribeca All Access program during the 2010 Tribeca Film Festival.[18][19] The film is set in Amsterdam and is about 419 scams among the immigrant community.[19]

There are a collection of themes that are noted to appear in Dunye’s work including but not limited to motherhood and mother/daughter relationships;[8] history/the making of history;[7][8] memory;[7][8] black lesbianism, queerness;[7][8][20] intersectionality;[7] interracial relationships;[7][8] identity politics[20] and self-reflexivity.[7][8]

“Dunye has described her early films and videos as ‘dunyementaries’, works in which she integrates ‘documentary and fiction,’”[8] but this style is present in most of her following work as well. In The Watermelon Woman, personal archival materials are the essential pieces that form the history that the protagonist is searching to discover. Photographs, both authentic images from the 1930s and 1940s and recreations made by the director of photography Zoë Leonard, were used in the film and play an important part in the construction of the history that the protagonist seeks.[7][9]

In Stranger Inside, Dunye mixes documentary and fiction, as some of the background actors were actual former inmates. The film was first conceived as a documentary feature, and it employs documentary techniques, but Dunye felt that a narrative approach would better suit the subject matter.[8][12]